Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0012
Annualized Std Dev 0.1521
Annualized Sharpe (Rf=0%) -0.0078

Row

Daily Return Statistics

Close
Observations 5489.0000
NAs 1.0000
Minimum -0.1664
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0041
Maximum 0.1423
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0096
Skewness -0.8281
Kurtosis 43.2974

Downside Risk

Close
Semi Deviation 0.0070
Gain Deviation 0.0072
Loss Deviation 0.0084
Downside Deviation (MAR=210%) 0.0119
Downside Deviation (Rf=0%) 0.0070
Downside Deviation (0%) 0.0070
Maximum Drawdown 0.5370
Historical VaR (95%) -0.0124
Historical ES (95%) -0.0227
Modified VaR (95%) -0.0095
Modified ES (95%) -0.0095
From Trough To Depth Length To Trough Recovery
2006-01-05 2008-12-12 2012-11-30 -0.5370 1739 741 998
2016-07-11 2020-03-18 NA -0.3556 1183 929 NA
2013-01-07 2013-08-19 2016-06-15 -0.2756 867 156 711
1999-06-04 1999-12-30 2001-11-14 -0.2305 616 146 470
2003-06-16 2004-05-13 2005-07-11 -0.1743 522 231 291

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 NA NA NA NA 0 -0.4 0 -0.4 -0.4 0.5 0 1.1 0.3
2000 1.5 0 1.9 -0.5 0 1.4 0.9 -0.5 0 0.5 2 0.5 8
2001 -2.2 0.9 0.7 0 1.3 0.4 -0.3 -0.4 1.7 0 -1.3 0 0.7
2002 1.3 -0.6 0.9 0.1 0.6 0 0.2 -0.1 1.2 0.7 0.7 0.1 5.3
2003 -0.1 0.2 0.3 0.5 0.9 -0.1 -0.6 0.7 0.3 0.3 -0.5 0.2 2.1
2004 -0.5 0.1 0.1 1.3 -0.4 0.7 0.6 0.4 -1 1 -0.1 0.1 2.3
2005 0.4 -0.2 0.6 0.5 0.9 1.2 -0.8 0.1 0.4 -0.2 1.8 0.7 5.6
2006 0.7 0.9 0.4 1.1 1.7 0.2 0.1 -0.6 0.9 0.6 0.4 1.2 8
2007 0.2 -0.4 0.5 0.5 0.3 0.1 -0.2 0.6 -0.4 -0.1 0.3 0.8 2.1
2008 0.7 -2.3 1.3 0.2 0.1 0.2 1 0.5 3.7 -1.6 -3.1 3 3.6
2009 -0.8 0.4 -0.4 1.3 0.1 0.5 1.4 1.5 0.2 -2.2 0.6 0.3 2.8
2010 0.2 0.2 -0.2 0.2 0.5 -0.6 0.4 -0.8 0.4 0.1 -1.5 1.9 0.9
2011 0.6 0.2 0.7 0.7 0.1 -0.6 1.1 1 0.5 0.4 0.2 -0.1 5
2012 1.7 -0.2 -0.1 0.7 -0.1 0.5 0.1 -0.9 -0.2 0.4 0.2 0.5 2.7
2013 0.6 -0.4 -0.5 0.4 -2.5 0 0 0 0.1 -0.7 -0.5 0.9 -2.7
2014 0.1 0.7 -0.9 0.6 -0.8 -0.5 0.3 0 0.4 0.2 0.5 0.4 1
2015 0.4 1.5 -0.1 -0.3 0.7 1 0.6 0.8 0.5 0.1 0.3 0.8 6.4
2016 -0.2 1 0.9 0.3 1.4 0.4 0 0.4 0.5 0.1 -0.8 0.1 4.3
2017 -0.2 -0.3 0.4 0.1 0.5 -0.5 0.4 -0.1 -0.2 -0.3 0.1 -0.3 -0.4
2018 -0.3 -0.3 -0.1 -0.2 -0.2 0.4 -0.2 0.4 -0.3 0 0.6 1.8 1.6
2019 0.5 0.3 0.3 0.7 0 0.1 0.4 0.6 -0.3 -0.5 -0.3 0.1 1.8
2020 0.1 -0.7 -1.8 0.6 -0.7 -0.2 0.3 0.8 0 0.1 -0.6 0.3 -2
2021 0.4 0.3 -0.1 NA NA NA NA NA NA NA NA NA 0.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-05-26  15.1 SPY    130.  0.0111 -0.0331   -0.0496   0.0514       NA       NA       NA <NA>     NA    NA       NA
2 1999-05-27  15.1 SPY    129. -0.0144 -0.0412   -0.0503   0.0405       NA       NA       NA <NA>     NA    NA       NA
3 1999-05-28  15.2 SPY    130.  0.0128 -0.0236   -0.0308   0.0508       NA       NA       NA <NA>     NA    NA       NA
4 1999-06-01  15.2 SPY    130. -0.0035 -0.0105   -0.0263   0.0565       NA       NA       NA <NA>     NA    NA       NA
5 1999-06-02  15.1 SPY    130.  0.001   0.0068   -0.0428   0.0519       NA       NA       NA <NA>     NA    NA       NA
6 1999-06-03  15.2 SPY    131.  0.0055  0.00120  -0.0236   0.0445       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart